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st: Re: Autocorrelation in unbalanced panels
Hi,
I think -xtgee- alows you test different correlation structures between the
panels and/or using robust standard errors, irrespective of whether the
panels are balanced or not.
HTH,
Christer
************************************************
Professor Christer Thrane
Department of Social Science
Lillehammer University College
2626 Lillehammer, Norway
+ 47 61 28 81 70 (fax)
+ 47 61 28 82 47 (phone, work)
+ 47 61 25 53 04 (phone, home)
E-mail, work: [email protected]
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----- Original Message -----
From: "Christian Andres" <[email protected]>
To: <[email protected]>
Sent: Friday, September 08, 2006 12:00 PM
Subject: st: Autocorrelation in unbalanced panels
Dear all,
I tested for autocorrelation in a panel dataset using xtserial as
described in http://www.stata.com/support/faqs/stat/panel.html. The
results indicate that the null of no serial correlation can be rejected.
As a consequence, I would like to estimate the model using the option
panels(correlated) in order to get consistent standard errors. However,
it seems like I can only use the option with a balanced panel!
How can I apply it to an unbalanced panel? As far as I understand
Wooldridge, the GLS transformation that eliminates serial correlation in
the errors can be extended to unbalanced panels!?!
Thanks a lot!
Christian
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